, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …

We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple …

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In … considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy …